CCIL Economic Research

Daily Market Analytics

Date: 19-Jun-13
G-SEC Markets
2Y/5Y Gsec Spread

1/10Y Gsec Spread

5Y/10Y G-sec Spread

37

25

40

27

25

10

17

10

1/10Y Spread (short-term)

Banks**
Others

Buy
21526
10251

Sell
22579
9198

Net
-1053
1053

01-Jun-13

01-May-13

01-Mar-13

01-Apr-13

*Excludes special securities like oil bonds etc.

01-Feb-13

**Includes trades by PD Division of Banks

Type
1-Year
2-Year
5-Year
10-Year
15-Year
20-Year
30-Year
10Y Benchmark
10Y-5Y Spread*

(%)
Current
7.29
7.33
7.42
7.44
7.51
7.57
7.60
7.48
5.32

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Oct-12

Sep-12

Nov-12

Gilts Yields
Change Over (Basis Points)
1 Day 1 Week 1 Month 3 Month
-1.9
-4
4
-70
-1.1
-5
8
-62
1.6
-6
16
-47
2.2
-5
14
-49
1.1
-5
13
-53
0.9
-6
17
-54
1.9
-1
17
-44
1.0
-6
14
-42
4.2
5
11
8

*Difference between 8.15% 2022 and 8.07% 2017 in bps for all the periods

Jun-13

May-13

Apr-13

Mar-13

Jan-13

Feb-13

Dec-12

Nov-12

7.00

Oct-12

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Oct-12

Nov-12

Sep-12

Aug-12

Banks Trade in Gilts*(Rs crore)

40
20

7.40

Jul-12

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

Jun-12

Jun-12

Aug-12

7.80

Sep-12

01-Jan-13

Jul-12

8.20

15

-20

Jun-12

Jun-13

Apr-13

May-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

8.60

23

12

Aug-12

30

Jul-12

17

Yield & 3M Moving Avg-10Y Gilt

9.00

Jun-12

38

60

-13

10Y/20Y G-sec Spread

10Y/15Y Gsec Spread

22

-3

Jun-12

-20

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Oct-12

Nov-12

Sep-12

Aug-12

Jul-12

-3
Jun-12

-20

-5

-5

1 Year
-95
-90
-80
-91
-94
-95
-100
-89
4

CCIL Economic Research

Daily Market Analytics
Derivatives

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

3Y OIS/MIFOR Spread

Jul-12

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

Jun-12

May-13

Jun-13

0
-50
-100
-150
-200
-250
-300

Jun-12

50
0
-50
-100
-150
-200
-250
-300

2Y OIS/MIFOR Spread

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

1Y OIS/MIFOR Spread

Jun-12

50
0
-50
-100
-150
-200
-250
-300

2Y/5Y OIS Spread

2Y/5Y MIFOR SPREAD

15

80

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

-20

Oct-12

-35

Sep-12

5
Aug-12

-25
Jul-12

30

Jun-12

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

Jun-12

-15

Jul-12

55

-5

Jun-12

5Y OIS/MIFOR Spread
30
0
-30
-60
-90
-120
-150
-180
-210

MIBOR & 3M Moving Average

15.6

13.6
11.6
9.6
7.6

CM IBOR RT

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

Jun-12

5.6

Sector
1Year
2 Years
3 Years
5 Years

Current
(%)
7.21
6.98
6.93
6.97

MIBOR-OIS
MIFOR
Change Over (Basis Points)
Current
Change Over (Basis Points)
1 Day
1 Week 1 Month 3 Month
(%) 1 Day 1 Week 1 Month 3 Month
0.09
-8.05
14.40
-38.41
5.85
0.00 -15.00 -60.00
-100.00
0.57
-9.45
23.82
-29.22
5.87 -0.80
-7.80 -37.80
-70.80
0.00
-12.31
22.05
-27.56
5.85 -5.00
0.00 -45.00
-75.00
0.20
-11.53
24.37
-25.97
6.00
0.00
-5.00 -35.00
-80.00

3M MAvg

Three month Mean & Standard Deviation

MIBOR OIS (5Y) MIFOR (5Y)
Mean %
7.57
7.00
6.57
St Dev
0.83
0.16
0.32

Trade Volumes (Rs. Crore)

OIS MIFOR
Today
4650
175
Yesterday
4725
0

CCIL Economic Research

Daily Market Analytics

Derivatives Vs G-Secs

2 years
5 years

OIS/G-SEC Spread (Basis points)

Before
Current
1 Day 1 Week 1 Month 3 Month
-37 -38
-34
-52
-56
-44 -41
-40
-54
-64

OIS

GS EC

Jun-13

May-13

Apr-13

Feb-13

3M MA GS EC

Mar-13

Jan-13

Dec-12

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Jul-12

Aug-12

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

-135
Jul-12

-125

Jun-12

-115
Jun-12

-95
-100

Nov-12

-75

Oct-12

-75

Sep-12

-55

Aug-12

-35
-50

Jul-12

-15

5y OIS & G-S ec Yields

Jun-12

2y OIS/G-Sec Spread

-25

9.5
9.0
8.5
8.0
7.5
7.0
6.5
6.0

5y OIS/G-Sec Spread

3M MA 5Y OIS

CCIL Economic Research

Daily Market Analytics
Money Market
Call Rates & 3M Moving Average

Repo Rates & 3M Moving Average

12.4

13.0

11.4

11.5

10.4

10.0

CBLO Rates & 3M Moving Average

9.4
8.5

150000
100000
50000

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

Jun-12

LAF Reverse Repo Volume (Rs Cr)

21000

Money Market Trade Volumes (Rs Crore)

Current 1 Day 1 Week 1 Month 3 Month
Call
20160 18511
17009 17446 22958
Repo
28994 30839
27352 29631 25605
CBLO
82893 88685
75997 61994 64131

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

Jun-12

7000

LAF Volumes (Rs Crore)

Today
1 Day
Repo
60340 66845
Reverse Repo
305
105
.

Before
1 Week 3 Month
53620 96810
80
625

1 Year
87230
0

1 Year
15688
23447
33635

Jun-13

Apr-13

May-13

Feb-13

Mar-13

Jan-13

Change Over (Basis Points)

1 Day 1 Week 1 Month 3 Month
-2
-2
-3
-57
-2
-2
-7
-57
2
8
-4
-50

14000

Dec-12

Oct-12

Nov-12

Sep-12

Aug-12

Jul-12

Jun-12

Jun-13

Apr-13

May-13

Mar-13

Jan-13

Feb-13

Dec-12

Nov-12

Money Market Rates

3 Month
Current
(%)
Mean Std. Dev
Call
7.24
7.52
0.81
Repo
7.20
7.48
0.55
CBLO
7.20
7.32
0.78
Note: excludes Saturdays

LAF Repo Volume (Rs Cr)

200000

28000

Oct-12

5.5

Sep-12

6.4

Jul-12

7.0

Aug-12

7.4

Jun-12

Jun-13

Apr-13

May-13

Feb-13

Mar-13

Jan-13

Dec-12

Oct-12

Nov-12

Sep-12

Jul-12

Aug-12

8.4

Jun-12

14.5
13.5
12.5
11.5
10.5
9.5
8.5
7.5
6.5

1 Year
-86
-90
-85

CCIL Economic Research

Daily Market Analytics
Forex Markets
Spot USD/INR

INR Exchange Rate to Major Currencies

Base: 1-Apr-04 = 100

70
90
110
130
150

9.0

7.5

1 Mnth

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

4.5

Aug-12

6.0

Jul-12

Oct-12

Jan-13

58
56
54
52
50
48
46
44

Apr-13

6M M VG

Jul-12

Jun-13

May-13

Apr-13

Feb-13

Mar-13

3M M VG

Apr-12

SPOT IN R

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Jul-12

Aug-12

47.5

Jun-12

49.5

Avg. Monthly Spot

Jan-12

51.5

Oct-11

53.5

RE ER

125
120
115
110
105
100
95
90
85

Jul-11

55.5

Apr-11

57.5

Forward Premia

10.5

Trends in Spot & REER (6 countries)

Jun-12

59.5

3 Mnth

RBIs Sale and Purchase of US Dollars ($ Million)

Apr-13
Before
1 Month 3 Month 6 Month 1 Year
3298
3165
1685
1055
0
Purchase
2780
2345
1735
1150
275
Sale
518
820
-50
-95
-275
Net

Forex Settlement Volumes ($ Mn)

$ million
Today
Yesterday
Cash
2122
2413
Tom
3353
3423
Spot
8795
11141
Forward
227
402
Total
14497
17379

US D

GB P

EURO

YEN

Jun-13

May-13

Apr-13

Feb-13

Mar-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

190

Jun-12

170

INR Exchange Rate to Major Currencies

Current
3 Month
Mean
St Dev
USD
58.74
55.24
1.40
GBP
91.99
84.60
2.86
EURO
78.70
72.00
2.43
YEN
61.82
56.28
2.18

1 Day
58.45
91.60
77.91
61.59

1 Week
58.27
91.16
77.50
60.27

Before
1 Month
55.04
83.95
70.93
53.67

3 Month
54.11
80.84
70.55
56.53

1 Year
55.15
85.22
69.24
69.51

Currency Derivatives (Futures & Options)

USD

GBP

EURO

YEN

Jun-13

May-13

Apr-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

190

Aug-12

Foreign Exchange Reserves (Rs Crore)

Value Growth Over (%)
As on
1 Week
1 Month
3 Month
1 Year
INR Exchange
Rate to Major Currencies
07-Jun-13
1-Week
-30
39 70
38
49
Base: 1-Apr-04 = 100
Total
FCA
1476070
1.1
-33
32 90
44
69
Gold
129000
0.0
-26
49110
43
28
SDRs
24900
1.9
-13
-6
-64
750
Res. with IMF
13200
5.0
-35
77130
64
285
FX
Reserves*
289676
0.6
150
-38
82
61
157
*
USD
in
million
-16
93170
91
0
-66
-29
Jul-12

NSE
MCX
USE
Options
NSE
MCX
USE

1 Day
-26
-27
-24
-1
-40
-46
-24
-4

Jun-12

Futures

O.I
Value
(Lots) (Rs Crore)
4716788
35227
3123501
18698
1357933
16097
12418
432
4774348
15220
4035160
10165
341354
4605
5
450

Growth Over (%)

1-Month
3-Months
2.8
5.4
-0.8
-8.8
5.5
5.2
8.7
4.4
-1.4
-0.2

1-Year
4.7
-10.6
3.1
-16.0
0.8

CCIL Economic Research

Daily Market Analytics
Macro indicators
Monthly Inflation Rate (% ) in India

Trends in Gold & Crude Prices

U.S

U.K

Euro A rea

Japan

Prima ry

Fuel

M anufacturing

WPI

Gol d

Crude Oil

Gold-Oil ratio
22.0
20.0
18.0
16.0

Jun-13

Apr-13

May-13

Mar-13

Feb-13

Jan-13

Dec-12

Nov-12

Oct-12

Sep-12

Aug-12

Jul-12

12.0

Jun-12

14.0

Inflation Rate in India (% on Y-o-Y Basis)

Current
Before
Apr-13 1 Month 3 Month
Primary
5.75
7.60
10.31
Fuel
8.84
10.18
7.06
Manufacturing
3.41
4.07
4.81
All commodities
4.89
5.96
6.62

1 Year
9.55
12.10
5.27
7.50

Prices of Crude (WTI) and Gold in $

Current
Gold (Ounce) 1369.72
Crude (Barrel)
95.35

1 Day
-1.3
0.0

Growth over (%)

1 Week 1 Month 3 Month
-0.5
0.9
-14.3
1.3
0.1
3.1

1 Year
-15.5
13.1

Jun-13

Apr-13
May-13

80
70

$ Per Barrel

90

Jan-13

Apr-13

Feb-13

Dec-12

Oct-12

Aug-12

Jun-12

Apr-12

Feb-12

Dec-11

Oct-11

Aug-11

Jun-11

Apr-13

Feb-13

Dec-12

Oct-12

Aug-12

Jun-12

Apr-12

Feb-12

Oct-11

Dec-11

0
Aug-11

-2

Jun-11

Apr-11

Apr-11

Feb-13
Mar-13

100

Nov-12
Dec-12

12

110

Sep-12
Oct-12

$ Per Ounce

16

2000
1900
1800
1700
1600
1500
1400
1300

Aug-12

20

Jun-12
Jul-12

Monthly Global Inflation Rate (% )

CCIL Economic Research

Daily Market Analytics
Economic Research Department
The Clearing Corporation of India Limited
Plot no FP 822, College Lane, off S K Bole Road
Opp. NEAT House, Dadar (W), Mumbai-400028
Phone: 6154 6581/6583
res_sur@ccilindia.co.in
gcnath@ccilindia.co.in
tlingareddy@ccilindia.co.in
Note: 1. Charts contain straight lines in red and blue, indicate average and +/- 1 standard deviation respectively.
2. One crore = 10 million
3. Chart on INR exchange rate to major currencies presents indices with base as 1 April, 2004 = 100
Data sources: Data inputs were collected from Reserve Bank of India, BSE, NSE, MCX, NCDEX, CSO, Reuters apart from the CCIL.
Disclaimer:
This is not an investment advice in any manner. The data used in this report has been obtained from secondary sources which we consider reliable but do not guarantee accuracy. We
take care to update on a reasonable basis the information discussed in this material. This material should not be construed as an offer to sell or the solicitation of an offer to buy any
security. We are not soliciting any action based on this material. It is for the general information of market participants and general public. It does not constitute a personal
recommendation or take into account the particular investment objectives, financial situations, or needs of individual market participants. Before acting on any advice or
recommendation in this material, one should consider whether it is suitable for their particular needs and, if necessary, seek professional advice. Past performance is not a guide to
future performance. Future returns are not guaranteed, and a loss of original capital may occur. The material is based on information that we consider reliable, but we do not represent
that it is accurate or complete, and it should not be relied on as such. Opinions expressed are our current opinions as of the date appearing on this material only. This research contains
the views and opinions of CCIL Research team only and not necessarily the views of CCIL. This report may not be reproduced in whole or in part.